12 citations · 12 across the 1 of their papers we have counts for
3 papers
math.PR2014★ 12 cited
Discrete time ruin probability with Parisian delay
Irmina Czarna, Zbigniew Palmowski, Przemysław Światek
In this paper we evaluate the probability of the discrete time Parisian ruin that occurs when surplus process stays below or at zero at least for some fixed duration of time .…
math.PR2014
A note on first passage probabilities of a Lévy process reflected at a general barrier
Zbigniew Palmowski, Przemysław Świątek
In this paper we analyze a Lévy process reflected at a general (possibly random) barrier. For this process we prove Central Limit Theorem for the first passage time. We also give t…
math.PR2011
Loss rate for a general Lévy process with downward periodic barrier
Zbigniew Palmowski, Przemysław Światek
In this paper we consider a general Lévy process reflected at downward periodic barrier and constant upper barrier giving a process . We find t…